Pretty much what Zeromaru X said; I think it was a combination of wanting to keep the "higher powered" Dark Sun PCs from mingling with PCs from other worlds along side the feeling of Athas as a bleak, godless world on its deathbed. They wanted Athas to be a world without gods, so thus they cut off the Outer Planes so therefore there were no gods.

Not really sure I agree with that design choice myself (I'd create a hellfire & brimstone pantheon inspired by the worst propaganda about the Sumar/Babylonian pantheons, myself ), but that's what they wanted to do with Dark Sun.

I think it's also because potential trade with other worlds, especially metal and water, would negate their being scarce and valuable on Athas. And what of arcane spellcasters from other settings, say Forgotten Realms or Dragonlance?
I remember, though, there were mentions of Dark Sun characters in Planescape. Maybe I read it in Planewalker's Handbook?

Athas is not cut off from the Outer Planes, but it can be more difficult to reach the outer or inner planes from Athas than it is from other worlds.

The Dark Sun adventure Black Spine is about a githyanki invasion of Athas (from the Astral Plane).

The Dragon Kings sourcebook, essentially an Epic Level Handbook for Dark Sun, had a section on the planes. It didn't mention the Gray or the Black, instead using the same planes and diagrams as the 1st edition Manual of the Planes.

In the Dark Sun Monstrous Compendium Appendix II: Terrors Beyond Tyr, ruvokas are creatures from the Elemental Planes who can travel to the Astral Plane or Athas. Psurlons are inhabitants of the Astral Plane who sometimes travel to Athas. Both of these creatures also appeared in the Planescape Monstrous Compendium Appendix III.

The Spacefarer's Handbook for Spelljammer said that Athas "should be avoided" in a Spelljammer campaign, stating the world might be unreachable, or just so far away from the known spheres that the journey there might take lifetimes to complete.

Planes of Chaos mentions tribes of Athasian elves in the deserts of Pelion on Arborea [Book of Chaos, page 56].

In Uncaged: Faces of Sigil, the rilmani Jemorille the Exile claims to have trained Rajaat in magic.

Athas is mentioned in The Planewalker's Handbook, which states that Athas is difficult to reach; portals to the world are rare, and spells that allow planar travel fail on this world more than half the time. The events of Black Spine were mentioned, and it said that the priests on Athas refer to some of the Paraelemental Planes by alternate names.

In The Inner Planes describes the Obsidian Gate of Tor Gaylen, a portal that leads from Athas to the Quasielemental Plane of Ash, and it also mentions vortexes to the Quasielemental Plane of Dust beneath Athas's silt seas.

Faction War mentions Athasian halflings invading the halfling neighborhood of Curly-Foot in Sigil, as well as a Hive Ward neighborhood called New Tyr inhabited by immigrants from Athas.

A Guide to the Ethereal Plane detailed mechanics for the Gray, including a chart that gave percentage chances of getting lost in or escaping from it. Planar magic used to travel from Athas to other planes is possible, but there's an 8% chance of a traveler getting lost in the Gray instead of going to their intended destination, a 56% chance the spell does nothing, and a 36% chance the spell works normally. Those lost in the Gray can try to roll under their intelligence score once per day to escape, but each day they spend there they permanently lose a constitution point.

I've been working on Athasian cosmology. Here is how Athas is cut off from the rest of the multiverse as intended by the designers (but unfortunately not fully explained). Click through to see the pictures because of the size limitation of this forum.

Here is the way the Living Vortices and Divine Conduits work to funnel power to divine spellcasters on Athas. In short, the gods of the Outer Planes CAN provide spells and power to clerics on Athas, but the reason why they do not is clear in the explanation below.